Managed Futures Strategy
The Managed Futures Strategy seeks positive absolute returns over a full market cycle with low correlation to equity markets during periods of dislocation. The composite portfolios will take long and/or short positions in a variety of markets using systematic trading disciplines and multi-horizon trend signals to exploit market moves. The portfolios may hold positions in a variety of markets through instruments such as equities, ETFs, futures, forwards, fixed income securities and other instruments. Portfolio volatility is monitored and actively managed in an effort to maintain and stabilize annualized volatility within a range. The benchmark is the SG Trend Index.
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- Adaptive Markets and the New World Order [PDF]
- The Adaptive Markets Hypothesis: Market Efficiency from an Evolutionary Perspective [PDF]
- Warning: Physics Envy May Be Hazardous To Your Wealth [PDF]
It is not the number of securities in a portfolio that determines diversification, it is the number of risk factors.